Publication: Intrinsic Risk Measures
Intrinsic Risk Measures
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Farkas, W., & Smirnow, A. (2018). Intrinsic Risk Measures. In K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, & R. Zagst (Eds.), Innovations in Insurance, Risk- and Asset Management (pp. 163–184). World Scientific Publishing. https://doi.org/10.1142/9789813272569_0007
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Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to the position to make it acceptable. We propose a new concept: intrinsic risk measures. The definition via external capital is avoided and only internal resources appear. An intrinsic risk measure is defined by the smallest percentage of the currently held financial position which has to be sold and reinvested in an eligible asset such that the resulting position becomes acceptable. We show that this approach requires le
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Farkas, W., & Smirnow, A. (2018). Intrinsic Risk Measures. In K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, & R. Zagst (Eds.), Innovations in Insurance, Risk- and Asset Management (pp. 163–184). World Scientific Publishing. https://doi.org/10.1142/9789813272569_0007
